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SOFR Option Weekly Commentary 7/31/26

The FOMC held rates Unch this week in a 9-3 (unch vs hike) vote. PCE (12 month change through June) was 3.7% as expected - falling from May's unrevised 4.1% (12 month change). Traders are taking this month's higher Crude prices into account for next month's inflation readings as the US/Iran war continues.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 12.8% (up from 8.6% last week), while the odds of at least one 25 bp hike are now 87.2% (down from 91.4% last week). The 10Yr is currently trading @ 4.74%.

SOFR Option Vols were lower this week (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrq6 9593 9587 9575 9568 p condorpaper paid 1.75 13kx96.025
sfrq6 9612 9606 pspaper sold 20k @ 1.7596.13
sfrq6 9612 9618 cspaper paid 2.5 -3 20kx96.13
sfrq6 9606 9618 stranglepaper sold 5k @ 2.596.125
sfrq6 9606 9612 9618 c flypaper paid 1.5 5k9603
sfrq6 9606 9612 cspaper sold 10k @ 2.596.015
sfrq6 9606 9593 ps vs 9612 9662 cspaper sold 10k @ 2.5 -ps96.015
sfrq6 sfru6 9587 9600 9612 9625 iron condor stupidpaper sold 5k @ 13.7596.035
sfrq6 9587/9581/9575 p-fly 2x3x1paper sells 10k @ 2.259602
sfrq6 9612 9606 9600 9593 p condorpaper paid 1.25 10kx96.02
sfrq6 9637 call (tied 96.05 d02)paper paid .5 15kx96.02
sfrq6 9587 9612 squashpaper paid .25 10k +p96.025
sfrq6 sfru6 9600 9606 9612 c fly stupidpaper paid 1.75-2 5kx96.02
sfru6 9625 9637 cspaper sold 10k @ 1.2596.14
sfru6 9612 9606 9600 p treepaper paid .75 10kx96.13
sfru6 9618 9625 9637 call flypaper paid .625 15kx96.02
sfru6 9618 9631 cs (tied 96.135-96.14 d26)paper paid 3.25 2500x
sfru6 9631 cpaper paid 1 20kx96.04
sfru6 9650 c (tied 96.02 d04)paper paid .75 10kx
sfru6 9612 9600 ps (tied 96.01 d20)paper sold 5k @ 6.5
sfru6 9600 9606 9612 c flypaper paid .75-1 10k96.03
sfru6 9587 9581 9575 p flypaper paid .75 10kx96.03
sfru6 9618 9625 cspaper paid 2-2.25 10kx96.125
sfru6 9618 9606 9600 9587 p condorpaper sold 5k @ 4.596.145
sfru6 9625 9631 9637 c treepaper paid .00 7500x96.02
sfrv6 9606 9618 9625 9637 call condor vs sfrv6 9531 putpaper paid .5 5kx +put95.865
sfru6 sfrv6 9600 9587 ps sprdpaper paid 2.75 10kx +sfrv6
sfru6 9625 9618 9612 9600 p condpaper paid .00 10kx + wings96.12
sfru6 sfrz6 9593 9581 ps sprdpaper paid 3 15kx sfrz6 over
sfru6 9600 9575 9550 p flypaper paid 1.5-1.75 6kx96.12
sfru6 9600 p (tied 96.10 d30)paper paid 3 10kx
sfru6 9600 p (tied 96.12 d25)paper sold 10k @ 2.2596.115
sfrv6 9650 call (tied 95.865 d10)paper paid 2 10kx
sfrv6 9625 9631 cspaper paid .875 25kx95.92
sfrv6 9587 9562 9537 p fly 1x3x2paper paid 3 5kx95.93
sfrv6 9625 9631 cs vs 9568 9556 ps (tied 95.965 d12)paper sold 10k @ .75 -ps
sfrv6 9581 p (tied 95.935 d33) vs 0qv6 9575 p (tied 95.88 d33)paper paid 5.5 12kx (+0qv6)
sfrz6 9606 9637 cspaper paid 7 10kx95.86
sfrz6 9625 9631 cspaper paid .75 20kx95.98
sfrz6 9600 9637 c 1x3paper paid 3.5-3.75 12kx95.93
sfrz6 9568 9556 pspaper paid 2.75 25kx95.915
sfrz6 9618 9625 cspaper paid 1.75 20kx95.90
sfrz6 9612 9618 9625 c flypaper paid .25 10kx95.85
sfrz6 9562 9612 squash (tied 95.855 d54)paper paid 1.25 5kx +put
sfrz6 9581 9556 pspaper paid 6.5 10kx95.93
sfrz6 9562 9625 squash (tied 95.88 d48)paper paid 3.5 7kx +put
sfrz6 9618 9606 9575 9562 p condor 1x1x2x2paper paid 2.75 5kx95.97
sfrz6 9700 cpaper paid 2 15kx95.98
sfrz6 9568 9500 pspaper sold 10k 6.25 to 6 15kx95.945
sfrz6 9643 9631 9618 p flypaper sold 10k @ 295.89
sfrz6 9568 0qz6 9550 pspaper paid 1-1.25 15kx +sfrz695.855/95.895
sfrz6 9581 9631 stranglepaper sold 6k at 20.75-20.595.86
sfrz6 9600 9550 9500 p fly (tied 95.965 d26)paper sold 6k @ 12.75
sfrz6 9650 9700 cspaper paid 1.25 10kx95.83
sfrz6 9618 9606 9575 9562 p condor 1x1x2x2paper paid 2.75 10kx *2x 57 and 2x 56 puts f=95.97
sfrz6 9593 ^paper paid 33.5-34.25 4kx95.93
sfrh7 9581 ^paper paid 56 5kx95.81
sfrh7 9750 callpaper paid 2.5 10kx95.74
sfrm7 9575 p (tied 95.825 d47)paper paid 30.5 4kx
S05N6 9568 9600 squashpaper paid 1.5 10kx +p95.83
S05N6 9568 9562 pspaper sold 10k @ 195.80
0qq6 9606 cpaper paid 1.5 10kx95.835
0qu6 9575 p (tied 95.84 d40)paper paid 11.5 3kx
0qu6 9600 9575 9550 p flypaper paid 7 10kx95.82
0qu6 9587 ^paper sold 5k @ 28.5-2895.83
0qu6 9587 put vs 9585.5 d52 vs 3qu6 9587 put vs 9592.5 d44paper sells 3k @ 5 (-0qu6)
0qz6 9650 cpaper sold 5k @ 6.595.94
2qu6 9562 9550 p stupid (tied 95.96-95.955 d24)paper sold 8k @ 5.5
2qz6 9675 9625 9575 p flypaper sold 5k at 16.595.99
2qf7 9593 ^paper paid 49.5 2kx95.94

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